文章基本信息

标题：Compatibility of market risk measures
本地全文：下载
作者：Grzegorz Mentel ; Jacek Brożyna
期刊名称：Journal of International Studies
印刷版ISSN：2071-8330
电子版ISSN：2306-3483
出版年度：2015
卷号：8
期号：2
页码：52-62
DOI：10.14254/2071-8330.2015/8-2/5
语种：English
出版社：Centre of Sociological Research, Szczecin, Poland
摘要：An important element of everyday financial decisions is to assess the scale of the risk of investing in various financial products. Knowledge on the degree of risk of the activities undertaken in this field allows a certain predictability about the negative effects that may occur. This is of great importance in the context of aversion to risk,and thus a better allocation of resources. A multitude of market risk measures is substantial and in addition they provide information about the risk of investment considered in a different perspective and form. A very interesting issue is the scale compatibility of these measures. It is important whether such measures to the same extent define the scale of risk and whether any signals about the dangers overlap in time. The above considerations based on the value at risk and so-caled RiskGrade have become a contribution to the creation of this publication.
关键词：value-at-risk;RiskGrade;modeling;risk;prediction